MoneyScience News |
- Blog Post: RobertPestonBlog: The threat to Co-op's plan to be a bigger bank
- Blog Post: TheFinancialServicesClub: Never mind the channels, here's the b******s
- RT @QFINANCEnews: QFINANCE: News Briefing (April 6' 12, 2012) http://t.co/4Uk0UwGw
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @alumnifutures
- Blog Post: TheAlephBlog: Book Review: The Most Important Thing Illuminated
- Blog Post: TimingLogic: Ten Year Bond Rates Drop 20% In Less Than A Month
- Published / Preprint: Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method. (arXiv:1204.2638v1 [q-fin.CP])
- Published / Preprint: Optimal portfolios in commodity futures markets. (arXiv:1204.2667v1 [q-fin.PM])
- Published / Preprint: Drift dependence of optimal order execution strategies under transient price impact. (arXiv:1204.2716v1 [q-fin.TR])
- Published / Preprint: Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework. (arXiv:1204.2717v1 [q-fin.TR])
- Published / Preprint: Optimal execution and price manipulations in time-varying limit order books. (arXiv:1204.2736v1 [q-fin.TR])
- Blog Post: AllAboutAlpha: A Battle Cry for Hedge Funds'Separate but not Equal
- Blog Post: TheReformedBroker: Love is an Amazon Book Review
- Blog Post: WealthandCapitalMarketsBlog: A Magic Lamp for Bonds?
- Blog Post: FINalternatives: FH Launches Onshore Feeder For EM Debt Fund
- Blog Post: QFINANCE: QFINANCE: News Briefing (April 6' 12, 2012)
- Published / Preprint: 12Apr/Quantitative impact study results published by the Basel Committee
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @tradeweb @lowlatency
- Blog Post: HighFrequencyTradingReview: Order Book Dynamics in Liquid Markets: Limit Theorems and Diffusion Approximations [Cont, De Larrard]
| Blog Post: RobertPestonBlog: The threat to Co-op's plan to be a bigger bank Posted: 13 Apr 2012 01:27 AM PDT When Lloyds announced in December that it had chosen the Co-operative Group as its preferred bidder for more than 600 branches and £47bn of loans and investments, the government was delighted.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Never mind the channels, here's the b******s Posted: 13 Apr 2012 01:08 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: QFINANCE: News Briefing (April 6' 12, 2012) http://t.co/4Uk0UwGw Posted: 13 Apr 2012 12:36 AM PDT moneyscience: RT @QFINANCEnews: QFINANCE: News Briefing (April 6â€" 12, 2012) http://t.co/4Uk0UwGw Visit MoneyScience for the Complete Article.    |
| Posted: 13 Apr 2012 12:34 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @alumnifutures Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: The Most Important Thing Illuminated Posted: 12 Apr 2012 10:09 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Ten Year Bond Rates Drop 20% In Less Than A Month Posted: 12 Apr 2012 07:28 PM PDT The world is endlessly amusing. If incompetence can be captured in a picture, this is it. The seemingly consistently wrong comments of the world's largest bond fund's chief prognosticator has graced this blog numerous times. It was literally when ten year bond yields were 20% higher a month ago that he wrote rates were headed even higher with a return to inflation. Got to give it to him. He... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:32 PM PDT In this paper, we propose an efficient Monte Carlo implementation of non-linear FBSDEs as a system of interacting particles by developing a variant of marked branching diffusion method. It will be particularly useful to investigate large and complex systems, and hence it is a good complement of our previous work presenting an analytical perturbation procedure for generic non-linear FBSDEs. There... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:32 PM PDT We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of futures price curve models which admit a finite-dimensional realization. Using this, we recast the portfolio... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:32 PM PDT We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:32 PM PDT Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can still be computed in closed form. Here we will investigate the robustness of this strategy with respect to misspecification of the law of $S^0$. We prove the surprising result that the strategy... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:32 PM PDT This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in the sense of... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: A Battle Cry for Hedge Funds'Separate but not Equal Posted: 12 Apr 2012 05:28 PM PDT Diane Harrison examines the state of the hedge fund industry and regulation. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Love is an Amazon Book Review Posted: 12 Apr 2012 03:35 PM PDT If you liked it and you want to make sure more people read it, the best way to show your love is a book review. Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: A Magic Lamp for Bonds? Posted: 12 Apr 2012 01:01 PM PDT Blackrock Solutions recently announced it had set up a bond crossing network with the working title “Aladdin Trading Networkâ€. The idea is that the buy-side would be able to anonymously cross corporate bonds, mortgage securities, or other fixed income instruments, bypassing dealers for some portion of their trading lists. read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: FH Launches Onshore Feeder For EM Debt Fund Posted: 12 Apr 2012 11:20 AM PDT FH International Asset Management has launched a Delaware-domiciled feeder fund for its Cayman-based FH Emerging Markets Short Term Debt fund.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: QFINANCE: News Briefing (April 6' 12, 2012) Posted: 12 Apr 2012 09:44 AM PDT    |
| Published / Preprint: 12Apr/Quantitative impact study results published by the Basel Committee Posted: 12 Apr 2012 06:06 AM PDT Press release about the BCBS publishing quantitative impact study results (12 April 2012) Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:56 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @tradeweb @lowlatency Visit MoneyScience for the Complete Article.    |
| Posted: 12 Apr 2012 05:47 AM PDT Abstractread more... Visit MoneyScience for the Complete Article.    |
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